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Construction of Composite Business Cycle Indicators in a Sparse Data Environment
Abberger, Klaus - 2011
Business cycle indicators are important instruments for monitoring economic development. When employing indicators one usually relies on a sound statistical database. This paper deals with indicator development in a sparse data situation. Indicator building is merged with temporal...
Persistent link: https://www.econbiz.de/10013120906
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Aging, the Great Moderation and Business-Cycle Volatility in a Life-Cycle Model
Heer, Burkhard - 2014
According to empirical studies, the life cycle of labor supply volatility exhibits a U-shaped pattern. This may lead to … the conclusion that demographic change induces a drop in output volatility. We present an overlapping generations model … that replicates the empirically observed pattern and study the impact of demographic transition on output volatility. We …
Persistent link: https://www.econbiz.de/10013059476
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Does the Euro-Zone Diverge? A Stress Indicator for Analyzing Trends and Cycles in Real GDP and Inflation
Flaig, Gebhard; Wollmershaeuser, Timo - 2021
This paper presents a stress indicator for the eurozone that summarizes developments of trends and cycles in real GDP and inflation in the member countries. Stress in a country is defined as the difference between the country's actual short-term interest rate and the interest rate that would...
Persistent link: https://www.econbiz.de/10013317182
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The Misspecification of Expectations in New Keynesian Models : A DSGE-VAR Approach
Cole, Stephen J. - 2016
This paper tests the ability of popular New Keynesian models, which are traditionally used to study monetary policy and business cycles, to match the data regarding a key channel for monetary transmission: the dynamic interactions between macroeconomic variables and their corresponding...
Persistent link: https://www.econbiz.de/10012979607
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The Effect of Disaggregate Information on the Expectation Formation of Firms
Buchheim, Lukas - 2018
This paper studies a new aspect of firms' expectation formation by asking whether expectations primarily reflect aggregate, industry-wide information (e.g., industry trends) or disaggregate information (e.g., firm-specific information). First, we show that disaggregate information is strongly...
Persistent link: https://www.econbiz.de/10012929261
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Great Moderation at the Firm Level? Unconditional vs. Conditional Output Volatility
Buch, Claudia M. - 2013
;Great Moderationquot; can be found in firm level data as well remains disputed. We study the evolution of firm level output volatility … trends in unconditional firm level and aggregated output volatility in Germany are similar. There has been a long …-run downward trend, which was interrupted by the unification period. Second, the conditional, idiosyncratic firm level volatility …
Persistent link: https://www.econbiz.de/10012753581
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Uncertainty and Monetary Policy in Good and Bad Times
Caggiano, Giovanni - 2017
financial volatility. Uncertainty shocks hitting in recessions are found to trigger a more abrupt drop and a faster recovery in …
Persistent link: https://www.econbiz.de/10012947523
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Estimating the Real Effects of Uncertainty Shocks at the Zero Lower Bound
Caggiano, Giovanni - 2017
We employ a parsimonious nonlinear Interacted-VAR to examine whether the real effects of uncertainty shocks are greater when the economy is at the ZeroLower Bound. We find the contractionary effects of uncertainty shocks to be statistically larger when the ZLB is binding, with differences that...
Persistent link: https://www.econbiz.de/10012947624
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Top Incomes, Rising Inequality, and Welfare
Lansing, Kevin J. - 2012
This paper develops a general-equilibrium model of skill-biased technological change that approximates the observed shifts in the shares of wage and non-wage income going to the top decile of U.S. households since 1980. Under realistic assumptions, we find that all agents can benefit from the...
Persistent link: https://www.econbiz.de/10013098333
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Top Incomes, Rising Inequality, and Welfare
Lansing, Kevin J.; Markiewicz, Agnieszka - 2021
We introduce permanently-shifting income shares into a standard growth model with two types of agents. Capital owners represent the top quintile of U.S. households while workers represent the remainder. Our tractable model allows us to exactly replicate the observed U.S. time paths of the top...
Persistent link: https://www.econbiz.de/10013315527